Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?

DOI10.1023/A:1009674204212MaRDI QIDQ375487zbMATH OpenOpenAlexFDO

Authors Saikat Nandi

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009674204212

zbMATH Keywords

asymmetric informationBlack-Scholes modelimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

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(5)

• Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
• Asymmetric volatility risk: evidence from option markets
• Decomposing informed trading in equity options
• The information flow of option markets during global financial crisis: where do informed traders trade?
• Options markets, self-fulfilling prophecies, and implied volatilities

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